Economics at your fingertips  

Prediction Risk and the Forecasting of Stock Market Indexes

Christian Haefke () and Christian Helmenstein
Additional contact information
Christian Helmenstein: Department of Economics, Institute for Advanced Studies, Vienna

No 20, Economics Series from Institute for Advanced Studies

Abstract: In most of the empirical research on capital markets, stock market indexes are used as proxies for the aggregate market development. In previous work we found that a particular market segment might be less efficient than the whole market and hence easier to forecast. In this paper we extend the focus of this investigation by taking a comprehensive look at the Vienna Stock Exchange. We use feedforward networks and linear models to forecast the all share index WBI as well as various subindexes covering the highly liquid, semi-liquid, and initial public offering (IPO) market segment. In order to shed some light on network construction principles, we compare different models as selected by hold-out crossvalidation (HCV), Akaike's information criterion (AIC), and Schwartz' information criterion (SIC). The forecasts are subsequently evaluated on the basis of hypothetical trading in the out-of-sample period.

Keywords: Neural Network Architecture Selection; Information Criteria; Stock Market Indexes; Trading Strategy (search for similar items in EconPapers)
JEL-codes: C45 C52 C53 C43 (search for similar items in EconPapers)
Date: 1995-12
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) First version, 1995 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from
Institute for Advanced Studies - Library, Josefstädterstr. 39, A-1080 Vienna, Austria

Access Statistics for this paper

More papers in Economics Series from Institute for Advanced Studies Josefstädterstr. 39, A-1080 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Doris Szoncsitz ().

Page updated 2019-10-17
Handle: RePEc:ihs:ihsesp:20